Related papers: Probabilistic Resistive Switching Device modeling …
Let $\{\boldsymbol{X}_n\}$ be a discrete-time $d$-dimensional process on $\mathbb{Z}_+^d$ with a supplemental (background) process $\{J_n\}$ on a finite set and assume the joint process $\{\boldsymbol{Y}_n\}=\{(\boldsymbol{X}_n,J_n)\}$ to…
Many probabilistic inference problems such as stochastic filtering or the computation of rare event probabilities require model analysis under initial and terminal constraints. We propose a solution to this bridging problem for the widely…
Motivated by disease progression-related studies, we propose an estimation method for fitting general non-homogeneous multi-state Markov models. The proposal can handle many types of multi-state processes, with several states and various…
We consider a Markov jump process on a general state space to which we apply a time-dependent weak perturbation over a finite time interval. By martingale-based stochastic calculus, under a suitable exponential moment bound for the…
This paper investigates almost sure exponential stabilization of continuous-time Markov jump linear systems (MJLSs) under communication data-rate constraints by introducing sampling and quantization into the feedback control. Different from…
Robust Markov decision processes (RMDPs) extend standard Markov decision processes (MDPs) to account for uncertainty in the transition probabilities. RMDPs have an uncertainty set that defines a set of possible transition functions, each of…
This paper considers the problem of remote state estimation for Markov jump linear systems in the presence of uncertainty in the posterior mode probabilities. Such uncertainty may arise when the estimator receives noisy or incomplete…
Hybrid systems, and Piecewise Deterministic Markov Processes in particular, are widely used to model and numerically study systems exhibiting multiple time scales in biochemical reaction kinetics and related areas. In this paper an almost…
In modern life insurance, Markov processes in continuous time on a finite or at least countable state space have been over the years an important tool for the modelling of the states of an insured. Motivated by applications in disability…
We study a finite-horizon covariance steering problem for discrete-time Markov jump linear systems (MJLS) with both state- and control-dependent multiplicative noise. The objective is to minimize a quadratic running cost while steering the…
We present the R package MSTest, which implements hypothesis testing procedures to identify the number of regimes in Markov switching models. These models have wide-ranging applications in economics, finance, and numerous other fields. The…
The Reversible Jump algorithm is one of the most widely used Markov chain Monte Carlo algorithms for Bayesian estimation and model selection. A generalized multiple-try version of this algorithm is proposed. The algorithm is based on…
In this paper we present elementary computations for some Markov modulated counting processes, also called counting processes with regime switching. Regime switching has become an increasingly popular concept in many branches of science. In…
We propose a unified framework for robustly and adaptively stabilizing large-scale networked uncertain Markovian jump linear systems (MJLS) under external disturbances and mode switches that can change the network's topology. Adaptation is…
There exist several methods for simulating biological and physical systems as represented by chemical reaction networks. Systems with low numbers of particles are frequently modelled as discrete-state Markov jump processes and are typically…
We investigate a piecewise-deterministic Markov process, evolving on a Polish metric space, whose deterministic behaviour between random jumps is governed by some semi-flow, and any state right after the jump is attained by a randomly…
We show a methodology for the computation of the probability of deadline miss for a periodic real-time task scheduled by a resource reservation algorithm. We propose a modelling technique for the system that reduces the computation of such…
Markov jump processes are continuous-time stochastic processes which describe dynamical systems evolving in discrete state spaces. These processes find wide application in the natural sciences and machine learning, but their inference is…
A powerful time series analysis modeling technique is presented to describe cycle-to-cycle variability in memristors. These devices show variability linked to the inherent stochasticity of device operation and it needs to be accurately…
In this paper we consider the problem of parameter inference for Markov jump process (MJP) representations of stochastic kinetic models. Since transition probabilities are intractable for most processes of interest yet forward simulation is…